Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0168
Annualized Std Dev 0.3281
Annualized Sharpe (Rf=0%) -0.0513

Row

Daily Return Statistics

Close
Observations 2982.0000
NAs 1.0000
Minimum -0.2276
Quartile 1 -0.0104
Median 0.0009
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0113
Maximum 0.1054
SE Mean 0.0004
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0207
Skewness -0.9232
Kurtosis 9.9703

Downside Risk

Close
Semi Deviation 0.0153
Gain Deviation 0.0130
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0198
Downside Deviation (Rf=0%) 0.0153
Downside Deviation (0%) 0.0153
Maximum Drawdown 0.8658
Historical VaR (95%) -0.0316
Historical ES (95%) -0.0479
Modified VaR (95%) -0.0348
Modified ES (95%) -0.0825
From Trough To Depth Length To Trough Recovery
2010-11-05 2016-01-21 NA -0.8658 2610 1310 NA
2010-01-12 2010-05-20 2010-08-17 -0.2481 151 90 61
2009-10-16 2009-10-28 2009-11-09 -0.1247 17 9 8
2009-06-12 2009-06-22 2009-07-15 -0.1076 23 7 16
2009-12-03 2009-12-17 2010-01-04 -0.0719 21 11 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA 3.2 2.3 1.7 -2.9 -2.4 -4 3 0.6 1.2
2010 4.4 2.7 1.8 -0.3 -1.8 0.6 1.6 1.9 2.3 0.9 2.7 1 19.1
2011 3.2 -1 2.8 0.7 -1.8 1.5 -0.7 1.3 -3.6 -4.2 0.7 0.8 -0.7
2012 3.5 1 0.9 0.1 -3.2 6.5 1 1.1 1.5 1.2 -1.1 1.8 14.8
2013 1 -0.4 -0.4 -1.4 -4.4 -0.5 -0.2 0.5 0.4 -1.4 0.4 0.6 -5.8
2014 -1.2 -1.5 0 -0.2 -1.4 0.4 0.2 1.8 -3.7 0.1 -2.2 -0.5 -7.9
2015 -5.6 0.4 2 -0.2 0.5 -1.3 -0.1 -3.3 -1 -0.3 0.5 0.1 -8.2
2016 3.2 4.4 1.9 0.7 2 0.5 -0.5 -0.1 0 -3.7 -5.4 -1 1.7
2017 1.3 2.4 0.6 0.6 -0.7 1.3 0.2 2 2.7 0.6 0.1 0.4 12.2
2018 1.3 0 2.8 -1.1 1.5 0.6 0.4 2.2 -2.1 2.1 0.4 0.5 8.7
2019 0 -1.3 2.2 -1.3 1.7 -1 0.4 1.8 -0.5 1.8 0.8 0.3 4.9
2020 -2.2 0.1 -5.3 -4.3 2 3.6 -1.8 3.3 1.2 -1.9 3.7 -0.1 -2.1
2021 2.3 -1 3.3 NA NA NA NA NA NA NA NA NA 4.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart